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fix aroon feature #24

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Merged
Parent: Develop 026 - work in progress
merged 1 commit into from
Jul 13, 2013
Merged

fix aroon feature #24

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17 changes: 10 additions & 7 deletions QSTK/qstkfeat/features.py
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Original file line number Diff line number Diff line change
Expand Up @@ -341,7 +341,8 @@ def featVolumeDelta( dData, lLookback=30, b_human=False ):

def featAroon( dData, bDown=False, lLookback=25, b_human=False ):
'''
@summary: Calculate Aroon - indicator indicating days since a 25-day high/low, weighted between 0 and 100
@summary: Calculate Aroon - indicator indicating days since a 25-day
high/low, weighted between 0 and 100
@param dData: Dictionary of data to use
@param bDown: If false, calculates aroonUp (high), else aroonDown (lows)
@param lLookback: Days to lookback to calculate high/low from
Expand All @@ -351,19 +352,21 @@ def featAroon( dData, bDown=False, lLookback=25, b_human=False ):

dfPrice = dData['close']

#''' Feature DataFrame will be 1:1, we can use the price as a template '''
dfRet = pand.DataFrame( index=dfPrice.index, columns=dfPrice.columns,
#Feature DataFrame will be 1:1, we can use the price as a template
dfRet = pd.DataFrame( index=dfPrice.index, columns=dfPrice.columns,
data=np.zeros(dfPrice.shape) )

#''' Loop through time '''
#Loop through time
for i in range(dfPrice.shape[0]):
if( (i-lLookback)+1 < 0 ):
if( (i-lLookback) < 0 ):
dfRet.ix[i,:] = np.NAN
else:
if bDown:
dfRet.ix[i,:] = dfPrice.values[i+1:(i-lLookback)+1:-1,:].argmin(axis=0)
dfRet.ix[i,:] = dfPrice.values[i:(i-lLookback):-1,:].argmin(
axis=0)
else:
dfRet.ix[i,:] = dfPrice.values[i+1:(i-lLookback)+1:-1,:].argmax(axis=0)
dfRet.ix[i,:] = dfPrice.values[i:(i-lLookback):-1,:].argmax(
axis=0)

dfRet = ((lLookback - 1.) - dfRet) / (lLookback - 1.) * 100.

Expand Down